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refactor(indicators): Optimized for incremental calculation
This commit is contained in:
Toh4iem9
@@ -2,79 +2,149 @@
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//| RSIH_Calculator.mqh |
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//| RSIH_Calculator.mqh |
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//| Calculation engine for Ehlers' RSI with Hann Windowing (RSIH) |
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//| Calculation engine for Ehlers' RSI with Hann Windowing (RSIH) |
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//| and Noise Elimination Technology (NET). |
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//| and Noise Elimination Technology (NET). |
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//| Copyright 2025, xxxxxxxx |
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//| VERSION 2.00: Optimized for incremental calculation. |
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//| Copyright 2026, xxxxxxxx |
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#property copyright "Copyright 2026, xxxxxxxx"
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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#include <MyIncludes\Windowed_MA_Calculator.mqh>
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//+==================================================================+
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//+==================================================================+
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//| |
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//| CLASS 1: CRSIHCalculator (Base Class) |
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//| CLASS 1: CRSIHCalculator (Base Class) |
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//| |
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//+==================================================================+
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//+==================================================================+
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class CRSIHCalculator
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class CRSIHCalculator
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{
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{
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protected:
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protected:
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int m_period_rsi;
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int m_period_rsi;
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int m_period_net;
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int m_period_net;
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double m_price[];
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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//--- Composition: Windowed MA Engines for CU and CD
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CWindowedMACalculator *m_cu_engine;
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CWindowedMACalculator *m_cd_engine;
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//--- Persistent Buffers
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double m_price[];
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double m_cu_raw[]; // Raw Closes Up
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double m_cd_raw[]; // Raw Closes Down
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double m_cu_smooth[]; // Smoothed CU
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double m_cd_smooth[]; // Smoothed CD
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virtual bool PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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virtual void CreateEngines(void);
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public:
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public:
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CRSIHCalculator(void) {};
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CRSIHCalculator(void);
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virtual ~CRSIHCalculator(void) {};
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virtual ~CRSIHCalculator(void);
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bool Init(int rsi_period, int net_period);
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bool Init(int rsi_period, int net_period);
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void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &rsih_buffer[], double &net_buffer[]);
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double &rsih_buffer[], double &net_buffer[]);
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};
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CRSIHCalculator::CRSIHCalculator(void)
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{
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m_cu_engine = NULL;
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m_cd_engine = NULL;
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CRSIHCalculator::~CRSIHCalculator(void)
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{
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if(CheckPointer(m_cu_engine) != POINTER_INVALID)
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delete m_cu_engine;
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if(CheckPointer(m_cd_engine) != POINTER_INVALID)
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delete m_cd_engine;
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}
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//+------------------------------------------------------------------+
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//| Factory Method |
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//+------------------------------------------------------------------+
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void CRSIHCalculator::CreateEngines(void)
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{
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m_cu_engine = new CWindowedMACalculator();
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m_cd_engine = new CWindowedMACalculator();
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}
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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bool CRSIHCalculator::Init(int rsi_period, int net_period)
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bool CRSIHCalculator::Init(int rsi_period, int net_period)
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{
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{
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m_period_rsi = (rsi_period < 2) ? 2 : rsi_period;
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m_period_rsi = (rsi_period < 2) ? 2 : rsi_period;
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m_period_net = (net_period < 2) ? 2 : net_period;
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m_period_net = (net_period < 2) ? 2 : net_period;
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CreateEngines();
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// Initialize engines with SOURCE_PRICE (we pass raw CU/CD arrays)
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if(CheckPointer(m_cu_engine) == POINTER_INVALID || !m_cu_engine.Init(m_period_rsi, SOURCE_PRICE))
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return false;
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if(CheckPointer(m_cd_engine) == POINTER_INVALID || !m_cd_engine.Init(m_period_rsi, SOURCE_PRICE))
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return false;
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return true;
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return true;
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}
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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void CRSIHCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CRSIHCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &rsih_buffer[], double &net_buffer[])
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double &rsih_buffer[], double &net_buffer[])
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{
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{
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if(rates_total < m_period_rsi + 1)
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if(rates_total < m_period_rsi + 1)
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return;
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;
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// Resize buffers
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total);
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ArrayResize(m_cu_raw, rates_total);
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ArrayResize(m_cd_raw, rates_total);
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ArrayResize(m_cu_smooth, rates_total);
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ArrayResize(m_cd_smooth, rates_total);
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}
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// 1. Prepare Price
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if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
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return;
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return;
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// --- Step 1: Calculate the base RSIH indicator ---
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// 2. Calculate Raw CU and CD
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for(int i = m_period_rsi; i < rates_total; i++)
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int loop_start = MathMax(1, start_index);
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for(int i = loop_start; i < rates_total; i++)
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{
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{
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double cu = 0.0, cd = 0.0;
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double diff = m_price[i] - m_price[i-1];
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for(int j = 1; j <= m_period_rsi; j++)
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m_cu_raw[i] = (diff > 0) ? diff : 0;
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{
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m_cd_raw[i] = (diff < 0) ? -diff : 0;
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double diff = m_price[i - j + 1] - m_price[i - j];
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}
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double weight = 1.0 - cos(2 * M_PI * j / (m_period_rsi + 1.0));
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if(diff > 0)
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// 3. Smooth CU and CD using Windowed MA Engine
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cu += diff * weight;
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m_cu_engine.CalculateOnArray(rates_total, prev_calculated, m_cu_raw, m_cu_smooth);
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else
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m_cd_engine.CalculateOnArray(rates_total, prev_calculated, m_cd_raw, m_cd_smooth);
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cd += -diff * weight;
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}
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// 4. Calculate RSIH
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if(cu + cd > 0)
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int rsih_start = MathMax(m_period_rsi, start_index);
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rsih_buffer[i] = (cu - cd) / (cu + cd);
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for(int i = rsih_start; i < rates_total; i++)
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{
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double sum = m_cu_smooth[i] + m_cd_smooth[i];
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if(sum > 0)
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rsih_buffer[i] = (m_cu_smooth[i] - m_cd_smooth[i]) / sum;
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else
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else
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rsih_buffer[i] = (i > 0) ? rsih_buffer[i-1] : 0.0;
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rsih_buffer[i] = (i > 0) ? rsih_buffer[i-1] : 0.0;
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}
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}
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// --- Step 2: Apply Noise Elimination Technology (NET) ---
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// 5. Calculate NET (Noise Elimination Technology)
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if(m_period_net > 0)
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if(m_period_net > 0)
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{
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{
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double denominator = 0.5 * m_period_net * (m_period_net - 1);
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double denominator = 0.5 * m_period_net * (m_period_net - 1);
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if(denominator <= 0)
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int net_start = MathMax(m_period_rsi + m_period_net, start_index);
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return;
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for(int i = m_period_rsi + m_period_net; i < rates_total; i++)
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for(int i = net_start; i < rates_total; i++)
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{
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{
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double numerator = 0;
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double numerator = 0;
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// Double loop for Kendall correlation
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// Double loop for Kendall correlation
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@@ -82,11 +152,8 @@ void CRSIHCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type,
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{
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{
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for(int k = 0; k < j; k++)
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for(int k = 0; k < j; k++)
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{
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{
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// Ehlers' simplified formula is Num = Num - Sign(X[count] - X[K])
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// Sign(X[fresher] - X[older])
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// This implies adding the sign of (X[fresher] - X[older])
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// In our arrays, i-k is fresher than i-j
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double diff = rsih_buffer[i-k] - rsih_buffer[i-j];
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double diff = rsih_buffer[i-k] - rsih_buffer[i-j];
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// CORRECTED: Use addition instead of subtraction to match Ehlers' logic
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numerator += (diff > 0 ? 1 : (diff < 0 ? -1 : 0));
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numerator += (diff > 0 ? 1 : (diff < 0 ? -1 : 0));
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}
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}
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}
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}
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@@ -96,90 +163,102 @@ void CRSIHCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type,
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}
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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bool CRSIHCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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//| Prepare Price (Standard) |
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//+------------------------------------------------------------------+
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bool CRSIHCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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{
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ArrayResize(m_price, rates_total);
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for(int i = start_index; i < rates_total; i++)
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switch(price_type)
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{
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{
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case PRICE_CLOSE:
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switch(price_type)
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ArrayCopy(m_price, close, 0, 0, rates_total);
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{
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break;
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case PRICE_CLOSE:
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case PRICE_OPEN:
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m_price[i] = close[i];
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ArrayCopy(m_price, open, 0, 0, rates_total);
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break;
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break;
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case PRICE_OPEN:
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case PRICE_HIGH:
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m_price[i] = open[i];
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ArrayCopy(m_price, high, 0, 0, rates_total);
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break;
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break;
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case PRICE_HIGH:
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case PRICE_LOW:
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m_price[i] = high[i];
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ArrayCopy(m_price, low, 0, 0, rates_total);
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break;
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break;
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case PRICE_LOW:
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case PRICE_MEDIAN:
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m_price[i] = low[i];
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for(int i=0; i<rates_total; i++)
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break;
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m_price[i] = (high[i]+low[i])/2.0;
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case PRICE_MEDIAN:
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break;
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m_price[i] = (high[i] + low[i]) / 2.0;
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case PRICE_TYPICAL:
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break;
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for(int i=0; i<rates_total; i++)
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case PRICE_TYPICAL:
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m_price[i] = (high[i]+low[i]+close[i])/3.0;
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m_price[i] = (high[i] + low[i] + close[i]) / 3.0;
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break;
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break;
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case PRICE_WEIGHTED:
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i] + low[i] + 2 * close[i]) / 4.0;
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m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
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break;
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break;
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default:
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default:
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m_price[i] = close[i];
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return false;
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break;
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}
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}
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}
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return true;
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return true;
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}
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}
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//+==================================================================+
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//| CLASS 2: CRSIHCalculator_HA (Heikin Ashi) |
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//+==================================================================+
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//+==================================================================+
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class CRSIHCalculator_HA : public CRSIHCalculator
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class CRSIHCalculator_HA : public CRSIHCalculator
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{
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{
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private:
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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CHeikinAshi_Calculator m_ha_calculator;
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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protected:
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protected:
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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virtual bool PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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};
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};
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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bool CRSIHCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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//| Prepare Price (Heikin Ashi) |
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//+------------------------------------------------------------------+
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bool CRSIHCalculator_HA::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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{
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double ha_open[], ha_high[], ha_low[], ha_close[];
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if(ArraySize(m_ha_open) != rates_total)
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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ArrayResize(m_price, rates_total);
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switch(price_type)
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{
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{
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case PRICE_CLOSE:
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ArrayResize(m_ha_open, rates_total);
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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ArrayResize(m_ha_high, rates_total);
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break;
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ArrayResize(m_ha_low, rates_total);
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case PRICE_OPEN:
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ArrayResize(m_ha_close, rates_total);
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ArrayCopy(m_price, ha_open, 0, 0, rates_total);
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}
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break;
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case PRICE_HIGH:
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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ArrayCopy(m_price, ha_high, 0, 0, rates_total);
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m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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break;
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case PRICE_LOW:
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for(int i = start_index; i < rates_total; i++)
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ArrayCopy(m_price, ha_low, 0, 0, rates_total);
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{
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break;
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switch(price_type)
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case PRICE_MEDIAN:
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{
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for(int i=0; i<rates_total; i++)
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case PRICE_CLOSE:
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m_price[i] = (ha_high[i]+ha_low[i])/2.0;
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m_price[i] = m_ha_close[i];
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break;
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break;
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case PRICE_TYPICAL:
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case PRICE_OPEN:
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for(int i=0; i<rates_total; i++)
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m_price[i] = m_ha_open[i];
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
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break;
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break;
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case PRICE_HIGH:
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case PRICE_WEIGHTED:
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m_price[i] = m_ha_high[i];
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for(int i=0; i<rates_total; i++)
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break;
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
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case PRICE_LOW:
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break;
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m_price[i] = m_ha_low[i];
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default:
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break;
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return false;
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case PRICE_MEDIAN:
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m_price[i] = (m_ha_high[i] + m_ha_low[i]) / 2.0;
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break;
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case PRICE_TYPICAL:
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m_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (m_ha_high[i] + m_ha_low[i] + 2 * m_ha_close[i]) / 4.0;
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break;
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default:
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m_price[i] = m_ha_close[i];
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break;
|
||||||
|
}
|
||||||
}
|
}
|
||||||
return true;
|
return true;
|
||||||
}
|
}
|
||||||
//+------------------------------------------------------------------+
|
//+------------------------------------------------------------------+
|
||||||
//+------------------------------------------------------------------+
|
|
||||||
|
|||||||
Reference in New Issue
Block a user